Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal

W Mhd Kamal, W Nurliana Aida (2018) Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal. Student Project. Faculty of Business and Management, Bandaraya Melaka. (Unpublished)

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Abstract

The purpose of this study is to investigate the existence of Efficient Market Hypothesis (EMH) in Bursa Malaysia’s selected indexes. However, this study is only testing the weak form of EMH. The indexes chosen for this research is Emas, Mids Cap, Small Cap and Top 100 Index. The data was collected in for each index for daily basis from year 2013 to 2017. This study used Autoregressive Model to regress the previous return index with the current return index. Tests employed for this study includes descriptive analysis, test for estimated empirical model, stationary tests and diagnostic tests. Result of this study reveals that for daily data, all of the indexes have significant relationship which can be concluded as inefficiently weak. All the data for indexes can be concluded as inefficiently weak. These results provide understanding towards investors, analysts and regulator in dealing with Efficient Market Hypotheses.

Item Type: Monograph (Student Project)
Creators:
CreatorsEmail
W Mhd Kamal, W Nurliana AidaUNSPECIFIED
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities
H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock price indexes. Stock quotations
H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities > Malaysia > Kuala Lumpur. KLSE
Divisions: Universiti Teknologi MARA, Melaka > Bandaraya Melaka Campus > Faculty of Business and Management
Item ID: 21329
Uncontrolled Keywords: Bursa Malaysia; Indexes; Efficient Market Hypotheses
Last Modified: 23 Oct 2018 09:43
Depositing User: Perpustakaan UiTM Cawangan Melaka UiTM Cawangan Melaka
URI: http://ir.uitm.edu.my/id/eprint/21329

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